Forecasting Financial Variables by the Grey Theory

Sadık Çukur, Erdogan Kotil and Resul Eryigit

Istanbul Stock Exchange Review, 2007, vol. 9, issue 35, 11-20

Abstract: Forecasting financial and economic variables is one of the most attracted subjects in finance and many models and studies are devoted for predicting future. This study is one of them and uses relatively new prediction model, Grey Theory. This theory is suitable for forecasting competitive environment where the model uncertainty is present and decision makers have insufficient information. We use this model for one-step-ahead prediction of daily and monthly Turkish Lira/US Dollar exchange rate and Istanbul Stock Exchange Market Composite Index (ISEM-100). The results indicate a moderate success for a highly volatile environment comparing to the previous studies and models.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:9:y:2007:i:35:p:11-20

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